Santa Claus (1898): This film was made by George Albert Smith, who was an established portrait photographer at the time. It starred his wife Laura Bayley and their two children, Dorothy and Harold. 

Very advanced and quite ingenious for its time.  The film was the first known use of parallel action: the children slept in their bed while Santa is up on the snowy roof of the house.  Also, note the excellent use of double exposure.  

Black and white, silent, 1 minute, 16 seconds in length.